Modeling the Dynamics of Shanghai Interbank Offered Rate Based on Single-Factor Short Rate Processes
Using the Shanghai Interbank Offered Rate data of overnight, 1 week, 2 week and 1 month, this paper provides a comparative analysis of some popular one-factor short rate models, including the Merton model, the geometric Brownian model, the Vasicek model, the Cox-Ingersoll-Ross model, and the mean-re...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2014-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2014/540803 |